RARE EVENT SIMULATION

Agnès Lagnoux

90 citations0/0 files storedProbability in the Engineering and Informational Sciences

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Simulation Techniques and Applications Probability and Risk Models Markov Chains and Monte Carlo Methods

Abstract

This article deals with estimations of probabilities of rare events using fast simulation based on the splitting method. In this technique, the sample paths are split into multiple copies at various stages in the simulation. Our aim is to optimize the algorithm and to obtain a precise confidence interval of the estimator using branching processes. The numerical results presented suggest that the method is reasonably efficient.

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2014A survey of rare event simulation methods for static input–output models 2022Small failure probability: principles, progress and perspectives 2016Accelerated failure identification sampling for probability analysis of rare events

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